I know that a lot of people use (and swear by) hand warmers, however, I'm in the other boat... I swear by not using them.
There are a few reasons why I stay away from them:
First off, and most importantly, the best and most effective way to heat your body is from within. Eating lots of calories, and drinking lots of water are incredibly important. Calories are the fuel for your body to burn and generate heat, while water is the means of transporting that warmth through out your body through your circulatory system. Too often, hand warmers are used as a substitute for this incredibly important bodily need.
Many people forget the staying hydrated bit... there's a somewhat common misconception that because in the winter, proper layering prevents you from sweating, you don't need to drink as much water. In reality, staying hydrated is just as important, if not more so, in the winter than in the summer. In winter, you lose a lot of water not only through your skin but through your breath as well. Hikers should be drinking at least 4 liters of water per day in the woods, and it needs to be a constant intake of a little bit every so often.
Secondly, applying external heat sources can do weird things to your body, and actually cause it to lose more heat than it gains. If your body is slowing circulation to your feet and finger, it's for a reason. External heat sources, such as hand warmers and fires, cause your capillaries to dilate, resulting in an increased flow of heat from your core to your extremities. Unfortunately, as humans we don't have the ability to only dilate capillaries on certain sides of our body; it's an all or nothing deal. This can result in your body losing more heat than is gained from the heat source. I was taught in a Wilderness First Aid course once that when standing next to a fire in the winter, your body can radiate more heat away on the side that is facing away from the fire than the other side will gain from that fire.
Again, if your circulation to your extremities is slowing, and your hands and feet are getting cold, it's a sign that you need to eat and drink more, not crack open a hand warmer.
The third reason I stay away is the horror stories I've heard associated with hand warmers. As Tom stated, you need to be careful with burns. I've also heard a story (no idea if it's true but it is plausible) about a guy who fell asleep in a sleeping bag in the winter with hand warmers inside. He got so warm, that he unzipped his sleeping bag before falling asleep. During the night, while he was sleeping, the hand warmers ran out, and he awoke with severe frostbite.
Again, like I said, I know a lot of people swear by them. But they aren't for me.
